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In this paper, we first study a new sensitivity index that is based on higher moments and generalizes the so-called Sobol one. Further, following an idea of Borgonovo ([3]), we define and study a new sensitivity index based on the…
Global sensitivity analysis (GSA) of functional-output models is usually performed by combining statistical techniques, such as basis expansions, metamodeling and sampling based estimation of sensitivity indices. By neglecting truncation…
Procedures in assessing the impact of serial dependency on performance analysis are usually built on parametrically specified models. In this paper, we propose a robust, nonparametric approach to carry out this assessment, by computing the…
An analytic formula is proposed to characterize the variance propagation from correlated input variables to the model response, by using multi-variate Taylor series. With the formula, partial variance contributions to the model response are…
The method of derivative based global sensitivity measures (DGSM) has recently become popular among practitioners. It has a strong link with the Morris screening method and Sobol' sensitivity indices and has several advantages over them.…
Local variable selection aims to test for the effect of covariates on an outcome within specific regions. We outline a challenge that arises in the presence of non-linear effects and model misspecification. Specifically, for common…
Global variance-based reliability sensitivity indices arise from a variance decomposition of the indicator function describing the failure event. The first-order indices reflect the main effect of each variable on the variance of the…
The PAWN index is gaining traction among the modelling community as a sensitivity measure. However, the robustness to its design parameters has not yet been scrutinized: the size ($N$) and sampling ($\varepsilon$) of the model output, the…
A new method for estimating Sobol' indices is proposed. The new method makes use of 3 independent input vectors rather than the usual 2. It attains much greater accuracy on problems where the target Sobol' index is small, even outperforming…
We provide a novel method for sensitivity analysis of parametric robust Markov chains. These models incorporate parameters and sets of probability distributions to alleviate the often unrealistic assumption that precise probabilities are…
Global sensitivity analysis (GSA) can provide rich information for controlling output uncertainty. In practical applications, segmented models are commonly used to describe an abrupt model change. For segmented models, the complicated…
Given a bivariate random pair $(X,Y)$, a natural problem is to estimate, from a single sample $(X_i,Y_i)_{1\le i\le n}$, quantities such as $\mathbb{E}\left[ \mathbb{E}[ Y\mid X ]^2 \right]$. More broadly, sensitivity indices are designed…
The quantification and inference of predictive importance for exposure covariates have recently gained significant attention in the context of interpretable machine learning. Contemporary scientific investigations often involve data…
We study a variance reduction strategy based on control variables for simulating the averaged macroscopic behavior of a stochastic slow-fast system. We assume that this averaged behavior can be written in terms of a few slow degrees of…
Variance-based Sobol' sensitivity is one of the most well-known measures in global sensitivity analysis (GSA). However, uncertainties with certain distributions, such as highly skewed distributions or those with a heavy tail, cannot be…
The Doyle-Fuller-Newman model is arguably the most ubiquitous electrochemical model in lithium-ion battery research. Since it is a highly nonlinear model, its input-output relations are still poorly understood. Researchers therefore often…
In this paper we apply a methodology introduced in Navarro Jimenez et al (2016) in the framework of chemical reaction networks to perform a global sensitivity analysis on simulations of a continuous-time Markov chain model motivated by…
ANOVA decomposition of function with random input variables provides ANOVA functionals (AFs), which contain information about the contributions of the input variables on the output variable(s). By embedding AFs into an appropriate…
Variance-based sensitivity indices have established themselves as a reference among practitioners of sensitivity analysis of model output. It is not unusual to consider a variance-based sensitivity analysis as informative if it produces at…
Reliability-oriented sensitivity analysis methods have been developed for understanding the influence of model inputs relative to events which characterize the failure of a system (e.g., a threshold exceedance of the model output). In this…